Realizable monotonicity for continuous-time Markov processes

We formalize and analyze the notions of stochastic monotonicity and realizable monotonicity for Markov Chains in continuous-time, taking values in a finite partially ordered set. Similarly to what happens in discrete-time, the two notions are not equivalent. However, we show that there are partially ordered sets for which stochastic monotonicity and realizable monotonicity coincide in continuous-time but not in discrete-time.

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Year of publication:	2010
Authors:	Dai Pra, Paolo ; Louis, Pierre-Yves ; Minelli, Ida Germana
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 120.2010, 6, p. 959-982
Publisher:	Elsevier
Keywords:	Markov processes Coupling Partial ordering Stochastic monotonicity Realizable monotonicity Monotone random dynamical system representation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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